Ioannis Karatzas

16 papers C 1Journal 15

Year	Rank	Type	Title / Venue / Authors
2021	J	`jnl`	Trajectorial dissipation and gradient flow for the relative entropy in Markov chains. Commun. Inf. Syst. Ioannis Karatzas, Jan Maas, Walter Schachermayer
2017	J	`jnl`	Trading strategies generated by Lyapunov functions. Finance Stochastics Ioannis Karatzas, Johannes Ruf
2011	J	`jnl`	Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations. SIAM J. Math. Anal. Athanasios N. Yannacopoulos, Nikolaos E. Frangos, Ioannis Karatzas
2009	J	`jnl`	Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs. SIAM J. Control. Optim. Nikolaos Englezos, Ioannis Karatzas
2007	C	`conf`	Some Stochastic Control Problems in Mathematical Finance. ACC Ioannis Karatzas
2007	J	`jnl`	The numéraire portfolio in semimartingale financial models. Finance Stochastics Ioannis Karatzas, Constantinos Kardaras
2006	J	`jnl`	Adaptive Poisson disorder problem CoRR Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas
2005	J	`jnl`	Diversity and relative arbitrage in equity markets. Finance Stochastics Robert Fernholz, Ioannis Karatzas, Constantinos Kardaras
2003	J	`jnl`	Non-addictive habits: optimal consumption-portfolio policies. J. Econ. Theory Jérôme Detemple, Ioannis Karatzas
2000	J	`jnl`	Utility Maximization with Discretionary Stopping. SIAM J. Control. Optim. Ioannis Karatzas, Hui Wang
1999	J	`jnl`	On dynamic measures of risk. Finance Stochastics Jaksa Cvitanic, Ioannis Karatzas
1998	J	`jnl`	Hedging American contingent claims with constrained portfolios. Finance Stochastics Ioannis Karatzas, S. G. Kou
1996	J	`jnl`	Irreversible investment and industry equilibrium. Finance Stochastics Fridrik M. Baldursson, Ioannis Karatzas
1994	J	`jnl`	Construction of Stationary Markov Equilibria in a Strategic Market Game. Math. Oper. Res. Ioannis Karatzas, Martin Shubik, William D. Sudderth
1990	J	`jnl`	Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model. Math. Oper. Res. Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve
1986	J	`jnl`	Explicit Solution of a General Consumption/Investment Problem. Math. Oper. Res. Ioannis Karatzas, John P. Lehoczky, Suresh P. Sethi, Steven E. Shreve